Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
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具有递推效用和交易成本引起的非流动性的一般均衡下的资产价格
DOI：
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
G. Vilkov
中科院分区：
文献类型：
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作者：
Adrian Buss;Raman Uppal;G. Vilkov
本文研究了一个动态一般均衡经济中，比例交易成本对消费组合决策和资产价格的影响，其中一个风险股票产生了交易成本。我们的模型具有多个具有随机劳动收入、异质信念和异质Epstein-Zin-Weil效用函数的投资者。交易成本导致了流动性的内生变化。我们展示了如何以递归的方式描述和解决这个不完全市场经济中的均衡。我们有三个主要发现。第一，一只股票的交易成本导致该股票的交易量大幅减少，但对另一只股票和债券的交易量只有很小的影响。第二，即使在随机劳动收入和异质信念存在的情况下，交易成本对投资者的消费决策也只有很小的影响，因此对股权风险溢价和流动性溢价的影响很小。第三，相对于一般均衡而言，部分均衡下交易成本对流动性溢价等数量的影响被高估。
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has multiple investors with stochastic labor income, heterogeneous beliefs, and heterogeneous Epstein-Zin-Weil utility functions. The transaction cost gives rise to endogenous variations in liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion. We have three main findings. One, costs for trading a stock lead to a substantial reduction in the trading volume of that stock, but have only a small effect on the trading volume of the other stock and the bond. Two, even in the presence of stochastic labor income and heterogeneous beliefs, transaction costs have only a small effect on the consumption decisions of investors, and hence, on equity risk premia and the liquidity premium. Three, the effects of transaction costs on quantities such as the liquidity premium are overestimated in partial equilibrium relative to general equilibrium.